Copula model dependency between oil prices and stock markets: Evidence from China and Vietnam

► This paper proposes the use of two models: nonparametric chi-Kendall plots and semi parametric copula to capture the dependence structure between China and Vietnam markets. ► We study and examine how both models capture the volatility in oil price changes and stock markets between the two countries. ► The empirical results suggest left tail dependence between international oil price and Vietnam's stock market; this implies both are likely to go down together. ► There is no evidence of tail dependence between China's stock market and international oil price.